Sfoglia per Autore
Mathematical finance: theory review and exercises
2023-01-01 Rosazza Gianin, E.; Sgarra, C.
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
2023-01-01 Brignone, R.; Gonzato, L.; Sgarra, C.
Interest Rates Term Structure Models Driven by Hawkes Processes
2023-01-01 Bernis, Guillaume; Garcin, Matthieu; Scotti, Simone; Sgarra, Carlo
A self-exciting modeling framework for forward prices in power markets
2021-01-01 Callegaro, Giorgia; Mazzoran, Andrea; Sgarra, Carlo
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021-01-01 Bernis, G.; Brignone, R.; Scotti, S.; Sgarra, C.
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging
2021-01-01 Gonzato, L.; Sgarra, C.
Asian options pricing in Hawkes-type jump-diffusion models.
2020-01-01 Brignone, R.; Sgarra, C.
A branching process approach to power markets.
2019-01-01 Jiao, Ying; Ma, Chunhua; Scotti, Simone; Sgarra, Carlo
A particle filtering approach to oil futures price calibration and forecasting
2018-01-01 Fileccia, Gaetano; Sgarra, Carlo
Geometric Asian option pricing in general affine stochastic volatility models with jumps
2017-01-01 Hubalek, Friedrich; Keller Ressel, Martin; Sgarra, Carlo
Optimal investment in markets with over and under-reaction to information.
2016-01-01 Callegaro, Giorgia; Gaïgi, M’Hamed; Scotti, Simone; Sgarra, Carlo
Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets
2015-01-01 Sgarra, Carlo; Fileccia, Gaetano
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015-01-01 R., Caflisch; G., Gambino; Sgarra, Carlo; M., Sammartino
American option valuation in a stochastic volatility model with transaction costs
2015-01-01 Cosso, Andrea; Marazzina, Daniele; Sgarra, Carlo
Comparison Results for GARCH Processes
2014-01-01 F., Bellini; F., Pellerey; Sgarra, Carlo; S., Yasaei Sekeh
MATHEMATICAL FINANCE: THEORY REVIEW AND EXERCISES
2013-01-01 E., Rosazza Gianin; Sgarra, Carlo
Acceptability indexes via g-expectations: an application to liquidity risk.
2013-01-01 E., Rosazza Gianin; Sgarra, Carlo
The Risk Premium and the Esscher Transform in Power Markets
2012-01-01 F. E., Benth; Sgarra, Carlo
Convex Ordering of Esscher and Minimal Entropy Martingale Measures in Discrete Time Models
2012-01-01 Fabio, Bellini; Sgarra, Carlo
A Finite Element Discretization Method for Option Pricing with the Bates Model
2011-01-01 Miglio, Edie; Sgarra, Carlo
On the Explicit Evaluation of the Geometric Asian Options in Stochastic Volatility Models with Jumps
2011-01-01 F., Hubalek; Sgarra, Carlo
Some Results on Correlation Matrices for Interest Rates
2011-01-01 E., Salinelli; Sgarra, Carlo
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach.
2010-01-01 L. V., Ballestra; Sgarra, Carlo
INGEGNERIA FINANZIARIA
2009-01-01 Barucci, Emilio; C., Marsala; M., Nencini; Sgarra, Carlo
On the Esscher Transforms and Other Equivalent Martingale Measures for the Barndorff-Nielsen and Shephard Stochastic Volatility Models with Jumps
2009-01-01 Hubalek, F.; Sgarra, Carlo
Shift, slope and curvature for a class of yields correlation matrices
2007-01-01 E., Salinelli; Sgarra, Carlo
Quadratic Hedging for the Bates Model
2007-01-01 F., Hubalek; Sgarra, Carlo
ESERCIZI DI FINANZA MATEMATICA
2007-01-01 E., Rosazza Gianin; Sgarra, Carlo
Correlation matrices for yields and total positivity
2006-01-01 E., Salinelli; Sgarra, Carlo
The Esscher Transforms and The Minimal Entropy Martingale Measure for Exponential Lévy Models
2006-01-01 F., Hubalek; Sgarra, Carlo
An Exact Analytical Solution for Discrete Barrier Options
2006-01-01 Fusai, G.; Abrahams, D. I.; Sgarra, Carlo
Directions of coaxiality between pure strain and stress in linear elasticity
1997-01-01 Sgarra, Carlo; Vianello, MAURIZIO STEFANO
Rotations which make strain and stress coaxial
1997-01-01 Sgarra, Carlo; Vianello, MAURIZIO STEFANO
Half-Range Completeness of the Fokker-Planck Eqution with an External Force
1995-01-01 Cercignani, Carlo; Sgarra, Carlo
Comments on Extension of the Mott-Smith Method to denser gases
1995-01-01 Cercignani, Carlo; Frezzotti, Aldo; Sgarra, Carlo
Numerical Analysis of a Shock-Wave Solution of the Enskog Equation Obtained via a Monte Carlo Method
1993-01-01 Frezzotti, Aldo; Sgarra, Carlo
Half-Range Completeness for the Fokker-Planck Equation with an External Force
1992-01-01 Cercignani, Carlo; Sgarra, Carlo
L2-Stability near Equilibrium of the Solution of the Homogeneous Boltzmann Equation in the case of Maxwellian Molecules
1988-01-01 Cercignani, Carlo; Lampis, Maria; Sgarra, Carlo
On the Relation between the Scattering Kernel and the Standard Formulation of the Boltzmann Equation
1988-01-01 Cercignani, Carlo; Lampis, Maria; Sgarra, Carlo
Numerical Analysis of Two-Soliton Solutions on a Bianchi Type-II Background
1986-01-01 Curir, A; Francaviglia, M; Sgarra, Carlo
Remarks about Higher-Order Poles in the Belinsky-Zakharov Method for Einstein Equations
1984-01-01 Francaviglia, M; Sgarra, Carlo
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